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A Multivariate Student’s t-Distribution
Department of Engineering Physics, McMaster University, Hamilton, ON, Canada
- 1 Department of Engineering Physics, McMaster University, Hamilton, ON, Canada
Open Journal of Statistics·Volume 06 (2016)·Pages 443–450·Published 8 June 2016·DOI10.4236/ojs.2016.63040
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Abstract
A multivariate Student’s t-distribution is derived by analogy to the derivation of a multivariate normal (Gaussian) probability density function. This multivariate Student’s t-distribution can have different shape parameters for the marginal probability density functions of the multivariate distribution. Expressions for the probability density function, for the variances, and for the covariances of the multivariate t-distribution with arbitrary shape parameters for the marginals are given.
KeywordsMultivariate Student’s tVarianceCovarianceArbitrary Shape Parameters
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